Develops Poisson-based generalized specific entropy on Wiener space for martingale transport, proving weak convergence and establishing compactness, existence, strong duality, and a coupled HJB-FP system for the resulting SEMOT problem.
A Benamou–Brenier formulation of martingale optimal trans- port.Bernoulli, 25(4A):2729–2757
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Generalized specific entropy on Wiener space with application to Martingale Optimal Transport
Develops Poisson-based generalized specific entropy on Wiener space for martingale transport, proving weak convergence and establishing compactness, existence, strong duality, and a coupled HJB-FP system for the resulting SEMOT problem.